Fragility of Local Martingale Diffusion Models of Arbitrage and Bubbles

For any positive diffusion with minimal regularity, there exists a semimartingale, with uniformly close paths, which is a martingale under an equivalent probability. As a result, in models of asset prices based on such diffusions, arbitrage and bubbles alike disappear under proportional transaction costs, or under small model misspecifications. Thus, local martingale models of arbitrage and bubbles are not robust to small trading and monitoring frictions

MoreLess

Year of publication:	2014
Authors:	Guasoni, Paolo ; Rasonyi, Miklos
Publisher:	[S.l.] : SSRN
Subject:	Spekulationsblase \| Bubbles \| Martingal \| Martingale \| Arbitrage \| Arbitrage Pricing \| Arbitrage pricing \| Innovationsdiffusion \| Innovation diffusion \| Kapitalmarkttheorie \| Financial economics

Extent:	1 Online-Ressource (17 p)
Series:	Boston U. School of Management Research Paper ; No. 2011-12
Type of publication:	Book / Working Paper
Language:	English
Notes:	Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments January 29, 2014 erstellt
Other identifiers:	10.2139/ssrn.1856223 [DOI]
Classification:	G12 - Asset Pricing
Source:	ECONIS - Online Catalogue of the ZBW

Persistent link: https://www.econbiz.de/10014043330